Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0202 |
| Annualized Std Dev | 0.2258 |
| Annualized Sharpe (Rf=0%) | 0.0893 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3711.0000 |
| NAs | 1.0000 |
| Minimum | -0.1169 |
| Quartile 1 | -0.0054 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0067 |
| Maximum | 0.1484 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0142 |
| Skewness | -0.4330 |
| Kurtosis | 12.1905 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0106 |
| Gain Deviation | 0.0097 |
| Loss Deviation | 0.0119 |
| Downside Deviation (MAR=210%) | 0.0150 |
| Downside Deviation (Rf=0%) | 0.0105 |
| Downside Deviation (0%) | 0.0105 |
| Maximum Drawdown | 0.6474 |
| Historical VaR (95%) | -0.0211 |
| Historical ES (95%) | -0.0363 |
| Modified VaR (95%) | -0.0214 |
| Modified ES (95%) | -0.0382 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2009-03-09 | NA | -0.6474 | 3368 | 339 | NA |
| 2007-07-13 | 2007-08-16 | 2007-10-29 | -0.1420 | 76 | 25 | 51 |
| 2007-02-27 | 2007-03-05 | 2007-03-21 | -0.0846 | 17 | 5 | 12 |
| 2006-07-05 | 2006-07-18 | 2006-07-28 | -0.0535 | 18 | 10 | 8 |
| 2007-06-05 | 2007-06-12 | 2007-07-09 | -0.0446 | 24 | 6 | 18 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | 1.6 | -0.4 | 0.9 | -0.4 | -0.2 | 0.1 | -0.2 | 1.5 |
| 2007 | 0.8 | -1.6 | 0.3 | 0.3 | 0.7 | 0.5 | 0 | 2.2 | 1.4 | -2.5 | 0.5 | -0.8 | 1.8 |
| 2008 | 2.1 | -2.4 | 2.5 | 0.7 | 0.8 | -1.9 | -0.6 | -0.4 | -0.6 | -0.2 | -7.5 | 1.4 | -6.4 |
| 2009 | -1.2 | -0.1 | 2.2 | 0.2 | 3 | 0.2 | 1.8 | -3 | -2.7 | -2.9 | 2.8 | 0.3 | 0.3 |
| 2010 | 1.6 | 0.6 | 1.9 | -0.8 | -0.7 | 1.5 | -0.3 | 3.1 | 0.6 | -0.3 | 2.7 | 0.7 | 11.1 |
| 2011 | 2.2 | -1.1 | 0.5 | -0.2 | -1.8 | 0.7 | -0.7 | -1.2 | -2.9 | -3.1 | -0.8 | 0.4 | -7.8 |
| 2012 | 1.8 | 0.8 | 0.8 | 0.3 | -2.5 | 4.1 | -0.2 | 0.6 | 1.1 | 1.4 | 0.5 | 1.4 | 10.5 |
| 2013 | 1.1 | -0.5 | -0.7 | -0.4 | -2.5 | 0.5 | 0.7 | -1.1 | 0.4 | -0.8 | 0.4 | 0.4 | -2.6 |
| 2014 | -1.3 | 0.6 | 0.8 | 0.1 | 0.1 | 0.7 | -0.3 | -0.2 | -1.3 | 0.9 | 0.2 | -0.6 | -0.4 |
| 2015 | -1 | -0.2 | 0.1 | 0.3 | -0.4 | 0.3 | 0.8 | -2.7 | 0.1 | 0.5 | 1 | -0.8 | -1.9 |
| 2016 | -0.1 | 2.2 | -1.3 | -0.2 | 0.1 | 0.6 | -0.7 | 0.8 | 0.6 | -0.1 | -0.1 | -0.1 | 1.6 |
| 2017 | 0.5 | 0.9 | 0.1 | 0.3 | 0.7 | 0.5 | 0.7 | 0.2 | 0.8 | 0.2 | -0.1 | 0.2 | 5.2 |
| 2018 | 0.5 | -1.8 | 0.9 | -0.2 | 0.8 | 0.5 | -0.3 | -0.6 | 0 | 1.5 | -0.9 | 0.2 | 0.5 |
| 2019 | -0.2 | 0.7 | 1.3 | -0.6 | -0.7 | 0.7 | -0.5 | 0.4 | -0.4 | 1 | -0.9 | 0.4 | 1.2 |
| 2020 | -1.6 | -0.3 | -4.7 | -2.3 | 2.2 | 0.1 | -1.9 | -0.4 | 0.5 | -0.6 | 2 | -0.6 | -7.6 |
| 2021 | 1.4 | 1.7 | 0.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.1 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
